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Martingale Representation and Logarithmic-Sobolev Inequality for the Fractional Ornstein-Uhlenbeck Measure
Acta Mathematica Scientia ( IF 1.2 ) Pub Date : 2021-04-19 , DOI: 10.1007/s10473-021-0312-0
Xiaoxia Sun , Feng Guo

In this paper, we consider the measure determined by a fractional Ornstein-Uhlenbeck process. For such a measure, we establish an explicit form of the martingale representation theorem and consequently obtain an explicit form of the Logarithmic-Sobolev inequality. To this end, we also present the integration by parts formula for such a measure, which is obtained via its pull back formula and the Bismut method.



中文翻译:

分数Ornstein-Uhlenbeck测度的表示和对数-Sobolev不等式

在本文中,我们考虑由分数Ornstein-Uhlenbeck过程确定的度量。对于这种度量,我们建立了representation表示定理的显式形式,并因此获得了对数-Sobolev不等式的显式形式。为此,我们还介绍了这种度量的分部公式,它是通过其拉回公式和Bismut方法获得的。

更新日期:2021-04-19
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